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Incorporating order-flow into optimal execution
13 references·16 citing·36 second hop
Incorporating order-flow into optimal execution (2016)Incorporating order-flow into optimal exe…Algorithmic and High Frequency Trading (2016)Algorithmic and High Frequenc…Algorithmic and High-Frequency Trading (2015)Algorithmic and High-Frequenc…Optimal high-frequency trading with limit and market orders (2012)Optimal high-frequency tradin…Dealing with the inventory risk: a solution to the market making problem (2012)Dealing with the inventory ri…TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2011)TRANSIENT LINEAR PRICE IMPACT…OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)OPTIMAL TRADE EXECUTION UNDER…Buy Low Sell High: A High Frequency Trading Perspective (2011)Buy Low Sell High: A High Fre…No-dynamic-arbitrage and market impact (2010)No-dynamic-arbitrage and mark…Optimal execution strategies in limit order books with general shape functions (2009)Optimal execution strategies …High-frequency trading in a limit order book (2008)High-frequency trading in a l…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact (2022)Optimal Signal-Adaptive Tradi…Optimal Execution: A Review (2022)Optimal Execution: A ReviewMulti-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics (2022)Multi-asset Optimal Execution…Learning a functional control for high-frequency finance (2022)Learning a functional control…Universal Trading for Order Execution with Oracle Policy Distillation (2021)Universal Trading for Order E…Reinforcement learning and stochastic optimisation (2021)Reinforcement learning and st…Double Deep Q-Learning for Optimal Execution (2021)Double Deep Q-Learning for Op…Mean-Field Game Strategies for Optimal Execution (2019)Mean-Field Game Strategies fo…Incorporating signals into optimal trading (2019)Incorporating signals into op…Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective (2019)Extended Mean Field Control P…Trading co‐integrated assets with price impact (2018)Trading co‐integrated assets …Trading algorithms with learning in latent alpha models (2018)Trading algorithms with learn…OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (2018)OPTIMAL LIQUIDATION UNDER STO…Enhancing trading strategies with order book signals (2018)Enhancing trading strategies …Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes (2018)Algorithmic Trading, Stochast…A Closed-Form Execution Strategy to Target Volume Weighted Average Price (2016)A Closed-Form Execution Strat…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? 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(2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Coherent Measures of Risk (1999)Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Gain, Loss, and Asset Pricing (2000)How Markets Slowly Digest Changes in Supply and Demand (2009)Limit order books (2013)The Price Impact of Order Book Events (2013)Stability analysis of financial contagion due to overlapping portfolios (2014)Active Portfolio Management (2017)Optimal dealer pricing under transactions and return uncertainty (1981)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Asset pricing and the bid-ask spread (1986)Examining price and service competition among retailers in a supply chain under potential demand disruption (2017)Market microstructure theory (1995)Handbook of the Economics of Finance (2013)Recent advances in reinforcement learning in finance (2023)The Behavior of Stock Prices Around Institutional Trades (1995)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Optimization Methods in Finance (2006)Market impact and trading profile of hidden orders in stock markets (2009)Market Microstructure Invariance: Empirical Hypotheses (2016)Optimal control of execution costs (1998)Optimal trade execution: A mean quadratic variation approach (2012)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamic portfolio choice with frictions (2016)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Price Dynamics in a Markovian Limit Order Market (2013)Bias in the effective bid-ask spread (2021)Reinforcement Learning for Quantitative Trading (2023)Optimal Portfolio Liquidation with Limit Orders (2012)Modelling high-frequency limit order book dynamics with support vector machines (2015)
this work references cited by second hop

References

  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 2009Optimal execution strategies in limit order books with general shape functions408 cited
  • 2010No-dynamic-arbitrage and market impact402 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 2012Dealing with the inventory risk: a solution to the market making problem207 cited
  • 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK204 cited
  • 2011Buy Low Sell High: A High Frequency Trading Perspective199 cited
  • 2016Algorithmic and High Frequency Trading193 cited
  • 2011TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS186 cited
  • 2012Optimal high-frequency trading with limit and market orders184 cited
  • 2015Algorithmic and High-Frequency Trading147 cited

Cited by

  • 2018Enhancing trading strategies with order book signals122 cited
  • 2019Mean-Field Game Strategies for Optimal Execution79 cited

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  • 2021Double Deep Q-Learning for Optimal Execution78 cited
  • 2019Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective69 cited
  • 2019Incorporating signals into optimal trading60 cited
  • 2016A Closed-Form Execution Strategy to Target Volume Weighted Average Price58 cited
  • 2018Trading algorithms with learning in latent alpha models44 cited
  • 2022Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact42 cited
  • 2018Trading co‐integrated assets with price impact37 cited
  • 2018Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes34 cited
  • 2021Universal Trading for Order Execution with Oracle Policy Distillation33 cited
  • 2022Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics27 cited
  • 2021Reinforcement learning and stochastic optimisation27 cited
  • 2022Optimal Execution: A Review26 cited
  • 2022Learning a functional control for high-frequency finance24 cited
  • 2018OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT24 cited